Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0045 |
| Annualized Std Dev | 0.3685 |
| Annualized Sharpe (Rf=0%) | -0.0121 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3874.0000 |
| NAs | 1.0000 |
| Minimum | -0.2444 |
| Quartile 1 | -0.0110 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0123 |
| Maximum | 0.1872 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0005 |
| Stdev | 0.0232 |
| Skewness | -0.2584 |
| Kurtosis | 9.2554 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0167 |
| Gain Deviation | 0.0161 |
| Loss Deviation | 0.0175 |
| Downside Deviation (MAR=210%) | 0.0211 |
| Downside Deviation (Rf=0%) | 0.0166 |
| Downside Deviation (0%) | 0.0166 |
| Maximum Drawdown | 0.8634 |
| Historical VaR (95%) | -0.0353 |
| Historical ES (95%) | -0.0548 |
| Modified VaR (95%) | -0.0353 |
| Modified ES (95%) | -0.0610 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2014-06-24 | 2020-03-23 | NA | -0.8634 | 1698 | 1447 | NA |
| 2008-06-19 | 2009-03-02 | 2013-03-08 | -0.6831 | 1188 | 176 | 1012 |
| 2006-04-24 | 2006-06-13 | 2006-07-31 | -0.2022 | 69 | 36 | 33 |
| 2007-12-27 | 2008-01-23 | 2008-04-09 | -0.1786 | 71 | 18 | 53 |
| 2006-08-10 | 2006-10-03 | 2006-12-14 | -0.1697 | 89 | 38 | 51 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.1 | 3.1 | 0 | 3.1 |
| 2006 | -2 | 1 | -1.7 | 1.2 | 0.9 | 0.8 | 0.5 | 1.3 | 0.5 | -0.8 | 0.2 | -0.7 | 1 |
| 2007 | 1 | 0.2 | -1.3 | 0.7 | 0.9 | 0.3 | -0.2 | 1.5 | 1.6 | -2.1 | 0.6 | -1.2 | 2 |
| 2008 | 1.8 | -3.2 | 1.2 | -2.1 | 2.3 | 1 | -0.2 | -0.9 | -3.1 | 1.8 | -10.5 | 2.8 | -9.6 |
| 2009 | -2.3 | -2.8 | 2 | 4.1 | 3.6 | 0.6 | 0.4 | -1.7 | -3.7 | -4 | 1.6 | -1.3 | -3.9 |
| 2010 | 3.3 | 1.4 | 2.9 | -0.5 | -4.3 | -1 | 0 | 3.3 | 0.9 | 0.3 | 2.4 | 0 | 8.7 |
| 2011 | 2 | -1.6 | 0.6 | 1.8 | -2.7 | 1.5 | 0.4 | -1 | -3.4 | -2.9 | -0.2 | 0 | -5.6 |
| 2012 | 1.1 | 1.8 | 0.3 | 1.5 | -3.3 | 3.4 | 0.4 | 1.1 | 1.3 | 0.2 | 0.3 | 2.7 | 11.2 |
| 2013 | 1.5 | 1 | -1.3 | -2.4 | -1.4 | -0.1 | 1.6 | -0.8 | 1 | -1.1 | -0.1 | 1.1 | -1.1 |
| 2014 | -0.5 | 0.1 | 1.3 | -0.4 | -0.6 | 0 | -1.5 | 1.3 | -1.8 | 2.3 | -0.8 | -0.1 | -0.8 |
| 2015 | 2.2 | -0.6 | 0.9 | 0.9 | -1 | -1.2 | -1 | -4.2 | 2.1 | 1.6 | 1 | 1.5 | 2 |
| 2016 | -2.2 | 1.1 | -1.8 | -1.4 | 1.5 | 1.4 | -3.2 | -0.8 | 2 | -0.9 | 0.5 | -0.6 | -4.5 |
| 2017 | -0.8 | 2.6 | 1.1 | -0.3 | 1.1 | 0.2 | -0.1 | 2.2 | -0.2 | 2.5 | 0.3 | -0.5 | 8.5 |
| 2018 | -0.2 | 0.3 | 2.9 | -0.6 | 0.8 | 0.5 | -1.8 | -0.4 | 0.8 | 1.3 | -0.5 | 0.7 | 3.8 |
| 2019 | 0.1 | 2.2 | 1 | -2.7 | -2 | 0.1 | -4.8 | -1.7 | -3.1 | 3.3 | -2.3 | 1.6 | -8.4 |
| 2020 | -2.2 | 4.2 | -5.5 | -8 | 2.7 | -2.7 | 0.4 | -1.1 | -3.6 | -0.7 | -0.3 | -1.2 | -17 |
| 2021 | 2.6 | 1.9 | 3.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 7.9 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
